Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots
In this work, we derive the joint distribution of the latent roots of a sample covariance matrix under elliptical models. We then obtain the distributions of the largest and smallest latent roots. In the process of these derivations, we also correct some results present in the literature.
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2016
- Institución:
- Universidad de Medellín
- Repositorio:
- Repositorio UDEM
- Idioma:
- eng
- OAI Identifier:
- oai:repository.udem.edu.co:11407/2280
- Acceso en línea:
- http://hdl.handle.net/11407/2280
- Palabra clave:
- Rights
- restrictedAccess
- License
- http://purl.org/coar/access_right/c_16ec
| Summary: | In this work, we derive the joint distribution of the latent roots of a sample covariance matrix under elliptical models. We then obtain the distributions of the largest and smallest latent roots. In the process of these derivations, we also correct some results present in the literature. |
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